The LWW Rule and Its Application to The Case of Taiwan

一個總體經濟體系中，利率常被用來調整價格失序之工具，更是央行 貨幣市場的主要操作標的。一般而言，「泰勒法則」（Taylor rule）可作為央行貨幣政策的參考與依據，並提供各界解釋與預測短期利率的變動方向。但除此之外，還有一種基於預測通貨膨脹的利率法則，也就是Levin, Wieland and Williams (2001)所提出的LWW利率法則，比起泰勒法則更為簡單又不失效果。 本研究所要探討的主題為像台灣這樣一個小型開放經濟體系是否LWW的利率法則可以作為實務上決策的參考依據。因此，乃蒐集了相關資料，加以整合探討，利用單根檢定、共整合檢定與誤差修正模型分析各變數彼此間的長期穩定和短期動態調整關係。 最後，希望透過上述的研究分析能夠對投資大眾在捕捉利率變動方向上有所幫助，也能夠提供貨幣當局在預測我國金融業隔夜拆款利率時，有個較為簡潔又不致偏離實際的利率法則作為執行貨幣政策的參考依據。In macroecomic, the interest rate adjusts excess supply or demand in order to clear the market. Even the central bank used to use the interest rate as the main tool to achieve their objects. In general, the central bank can dispute “Taylor rule” as the operating instruments of monetary policy and all walks of life also to refer to it. Besides, in 2001 there is one kind of Inflation-Forecast-Based interest rule called LWW rule in Levin, Wieland and Williams’ study.It was more robust and brief than the Taylor rule. This paper discussed like Taiwan as a small open economy system weather a policymaker to stand on LWW rule and therefore collected to analyse information.In practice model, it includes unit root test, Johansen’s Cointegration test and vector error-correction model to indicate that the existence of the long-term stability relationship short-run relationship between variables. Finally, the above study expects to evaluate the results of the empirical evidences that provided helpful references for policy makers to forecast the overnight interest rate when the central bank plans to implement monetary policy, and were good for the investors to make decisions clearly.目 錄 第一章 緒論.......................................................................................................................1 第一節 研究背景與動機....................................................................................1 第二節 研究目的................................................................................................3 第三節 研究大綱................................................................................................5 第四節 研究流程................................................................................................6 第二章 文獻探討及回顧...................................................................................................7 第一節 文獻回顧................................................................................................7 第二節 泰勒法則..............................................................................................11 第三節 LWW法則.................................................................................................14 第三章 研究方法..............................................................................................................16 第一節 資料來源與變數選取...........................................................................16 第二節 單根檢定...............................................................................................26 第三節 Johansen共整合檢定...........................................................................29 第四節 向量誤差修正模型...............................................................................32 第四章 實證結果分析......................................................................................................34 第一節 ADF單根檢定實證結果.........................................................................34 第二節 Johansen共整合檢定實證結果...........................................................37 第三節 向量誤差修正模型實證結果...............................................................40 第五章 結論與建議..........................................................................................................44 參考文獻...........................................................................................................................4